94 citations · 288 across the 14 of their papers we have counts for
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q-fin.TR2016★ 3 cited
Limit-order book resiliency after effective market orders: Spread, depth and intensity
Hai-Chuan Xu, Wei Chen, Xiong Xiong +3
In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an esse…
q-fin.ST2016★ 39 cited
Market correlation structure changes around the Great Crash
Rui-Qi Han, Wen-Jie Xie, Xiong Xiong +2
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 s…